| Close | |
|---|---|
| Annualized Return | -0.0024 |
| Annualized Std Dev | 0.1784 |
| Annualized Sharpe (Rf=0%) | -0.0132 |
| Close | |
|---|---|
| Observations | 5548.0000 |
| NAs | 1.0000 |
| Minimum | -0.1394 |
| Quartile 1 | -0.0043 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0047 |
| Maximum | 0.1239 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0112 |
| Skewness | -0.2293 |
| Kurtosis | 23.0967 |
| Close | |
|---|---|
| Semi Deviation | 0.0081 |
| Gain Deviation | 0.0087 |
| Loss Deviation | 0.0094 |
| Downside Deviation (MAR=210%) | 0.0129 |
| Downside Deviation (Rf=0%) | 0.0081 |
| Downside Deviation (0%) | 0.0081 |
| Maximum Drawdown | 0.6316 |
| Historical VaR (95%) | -0.0157 |
| Historical ES (95%) | -0.0266 |
| Modified VaR (95%) | -0.0139 |
| Modified ES (95%) | -0.0139 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-07-01 | 2008-12-15 | NA | -0.6316 | 3952 | 869 | NA |
| 1999-03-17 | 1999-12-29 | 2002-09-03 | -0.3416 | 853 | 191 | 662 |
| 2004-03-19 | 2004-05-13 | 2005-06-22 | -0.2015 | 318 | 39 | 279 |
| 2002-10-03 | 2002-11-04 | 2003-05-28 | -0.1218 | 163 | 23 | 140 |
| 2003-06-13 | 2003-08-18 | 2004-01-14 | -0.1020 | 149 | 46 | 103 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 0.8 | 0.9 | 0 | 0.5 | 1.4 | -0.4 | 2 | -1.5 | -0.5 | -2.9 | 0.6 | 0.7 |
| 2000 | 1.1 | 0.5 | 0.5 | -0.5 | -0.6 | 0.6 | 1.1 | 0.5 | 0 | -1.1 | 2.3 | -0.5 | 4 |
| 2001 | 1.1 | 0.4 | 0.4 | 0.6 | 0.9 | 0.2 | 0.6 | 0 | 2.5 | -0.7 | -0.4 | 0 | 5.8 |
| 2002 | 0.8 | 0.1 | 0.7 | 1.2 | 0 | -0.5 | -0.5 | 0 | 0.1 | 0.4 | 0.4 | 1.5 | 4.2 |
| 2003 | 0.3 | 0.3 | -0.1 | 0 | -0.3 | 0.9 | -3.5 | -0.1 | 0.2 | 0.4 | 0.3 | 0.3 | -1.3 |
| 2004 | 0.4 | 0.8 | 0.6 | -1.1 | 0.7 | 1.4 | 0 | -0.3 | -1 | 1 | 0.2 | 0.3 | 3.1 |
| 2005 | 0.5 | 1.3 | 0.1 | -0.3 | 0.4 | -2 | 0.5 | 0.1 | 0.1 | -0.1 | 0.1 | 0.2 | 0.8 |
| 2006 | -0.2 | 0.6 | 0.3 | -0.5 | 0.5 | -0.3 | 1.4 | 0 | 0.5 | 0.9 | 0.5 | -0.1 | 3.8 |
| 2007 | -0.1 | 0.2 | 0.3 | 0.6 | 0 | 0.3 | -0.2 | -0.4 | 0.1 | 0.6 | 4.3 | -0.4 | 5.1 |
| 2008 | 0.8 | -2.7 | -0.4 | -0.5 | 1 | 0 | 0.7 | -0.2 | -0.9 | -0.1 | 5.2 | 0.4 | 3.3 |
| 2009 | 0.8 | -2.9 | 3.4 | -0.3 | -1.9 | 2.3 | -0.4 | 0.2 | -0.6 | -0.2 | 0 | -1 | -0.8 |
| 2010 | 0.5 | -0.1 | -0.6 | -0.1 | -0.5 | -0.2 | -1.3 | -0.5 | -0.4 | -0.2 | -0.8 | 2 | -2.2 |
| 2011 | 0 | 0.8 | 1.1 | 0.8 | 0 | 0.6 | 0.9 | 0.4 | -0.5 | -0.2 | 0.9 | -0.4 | 4.4 |
| 2012 | -0.1 | -0.4 | 0.3 | 0 | 0.4 | 0.3 | 0.1 | 0.6 | -0.2 | 0.5 | 0.9 | 0.1 | 2.7 |
| 2013 | 0.1 | 0.3 | -1.6 | 0.1 | -2.7 | -0.5 | -1.1 | 1.5 | -0.4 | -1.7 | 0.5 | -0.2 | -5.7 |
| 2014 | 0.8 | -0.2 | 0.3 | 0.1 | 0 | -0.5 | -1.2 | -0.1 | 0.6 | -0.4 | 0.4 | 1.5 | 1.2 |
| 2015 | 0.4 | 0.7 | 0.1 | -0.1 | 1 | 0.4 | 1.6 | 0.2 | -0.6 | -0.1 | -0.1 | 0.4 | 4 |
| 2016 | 0.1 | -0.9 | 0.3 | 0.2 | 0.5 | 0.1 | 0 | 1 | -1.1 | -0.1 | -1.8 | -0.4 | -2.2 |
| 2017 | -0.1 | 0.5 | 0.4 | 0.9 | -0.5 | 0.2 | 0.2 | 0.5 | 0.3 | -0.2 | -0.2 | -0.4 | 1.4 |
| 2018 | -0.1 | -0.3 | -0.1 | 1.1 | -0.5 | 0.7 | -0.8 | 0.4 | -0.3 | 0.2 | -0.4 | -0.2 | -0.3 |
| 2019 | 0.3 | -0.2 | 1 | 2.3 | -0.1 | -0.5 | 0.8 | -0.3 | -0.4 | 0.2 | 0.2 | 0 | 3.3 |
| 2020 | -0.4 | -0.9 | -3.5 | 0.8 | 0.5 | 0.7 | 0.5 | 0.2 | -0.1 | 1.1 | -0.7 | 0.4 | -1.4 |
| 2021 | -0.1 | -1.8 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1.8 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-27 15.1 SPY 125. -0.0117 -0.0126 NA NA NA NA NA <NA> NA NA NA
2 1999-01-28 15.1 SPY 127. 0.0168 0.0313 NA NA NA NA NA <NA> NA NA NA
3 1999-01-29 15 SPY 128. 0.0076 0.0416 NA NA NA NA NA <NA> NA NA NA
4 1999-02-01 15 SPY 127. -0.0059 0.025 NA NA NA NA NA <NA> NA NA NA
5 1999-02-02 15.1 SPY 126. -0.0062 0.0005 NA NA NA NA NA <NA> NA NA NA
6 1999-02-03 15 SPY 127. 0.0102 0.0226 0.0356 NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>